全部 标题 作者
关键词 摘要

OALib Journal期刊
ISSN: 2333-9721
费用：99美元
投递稿件

查看量下载量

相关文章

更多...

基于流动性风险的资本资产定价模型

, PP. 1-7

Keywords: 流动性风险,无套利,风险构成,资本资产定价模型

Full-Text   Cite this paper   Add to My Lib

Abstract:

？在现有的资产定价理论基础上,研究了考虑流动性风险因素的风险资产定价问题。首先在无套利下对流动性风险进行定价,得到流动性风险的市场价格,进而给出了无风险资产和风险资产的有效前沿。再从风险构成的角度给出了流动性风险的测度和市场价格,推导出两种形式的基于流动性风险的资本资产定价模型(以相对量表示风险的LBCAPM和以绝对量表示风险的LBCAPM)并揭示了资产期望回报的形成过程。最后,介绍了定价模型的应用前景。

 References

[1]  Sharpe W. Capital asset prices[J]. Journal of Finance, 1964, 19 (3): 425-442.
[2]  Linter J. The valuation of risk assets and selection of risky investments in stock Portfolio and capital budgets[J]. Review of Economics and Statistics, 1965, 47 (1): 13-37.
[3]  Mossin J. Equilibrium in a capital market[J]. Econometrica, 1966, 34 (4): 768-783.
[4]  Black F. Capital market equilibrium with restricted borrowing[J]. Journal of Business, 1972, 45 (3): 444-455.
[5]  Merton R.An intertemporal capital asset pricing model[J]. Econometrica, 1973, 41 (5): 867-888.
[6]  Ross S A. The arbitrage theory of capital asset pricing[J]. Journal of Economic Theory, 1976,13: 341-360.
[7]  Amihud Y. Illiquidity and stock returns: Cross-section and time-series effects [J]. Journal of Financial Markets, 2002, 5(1): 31-56.
[8]  Pastor L, Stambaugh R. Liquidity risk and expected stock returns[J]. Journal of Political Economy, 2003, 111 (3): 642-685.
[9]  Liu Weimin. A liquidity-augmented capital asset pricing model[J]. Journal of Financial Economics, 2006, 82 (3) : 631-671.
[10]  陈青, 李子白. 我国流动性调整下的CAPM研究[J], 数量经济技术经济研究, 2008 (6): 66-78.
[11]  周芳, 张维. 中国股票市场流动性风险溢价研究[J], 金融研究, 2011 (5): 194-206.
[12]  Fama E F. French K R. Common risk factors in the returns on stocks and bonds[J]. Journal of Financial Economics, 1993, 33 (1): 3- 56.
[13]  Chan H W, Faff R W.Asset pricing and the illiquidity premium[J]. Financial Review,2005, 40 (4): 429-458.
[14]  Hearn B J, Strange P R. Market liquidity and stock size premia in emerging financial markets: The implications for foreign investment[J]. International Business Review, 2010, 19 (5): 489-501.
[15]  Amihud Y,Mendelson H. Asset pricing and the bid-ask spread [J]. Journal of Financial Economics, 1986, 17(2): 223-249.
[16]  周芳, 张维.流动性、公司规模和账面市值比的关系研究[J]. 系统工程学报, 2012, 27(4):498-505.
[17]  周芳, 张维,张小涛. 中国股票市场风险因素相关性研究[J]. 管理学报, 2012, 9(7):994-1000.
[18]  Acharya V V, Pedersen L H. Asset pricing with liquidity risk[J]. Journal of Financial Economics, 2005, 77 (2): 375-410.
[19]  陆静, 唐小我. 基于流动性风险的多因素定价模型及其实证研究[J]. 中国管理科学, 2006, 14 (5):45-51.
[20]  邹小芃, 黄峰, 杨朝军. 流动性风险、投资者流动性需求与资产定价[J]. 管理科学学报, 2009, 12 (6): 139-149.
[21]  Zhou Fang,Zhang Wei,Zhou Bing.Martingale-based computational liquidity risk premium[J].WSEAS Transactions on Mathematics, 2013, 12(1): 95-104.
[22]  Baxter M, Rennie A. Financial calculus[M]. Cambridge:Cambridge University Press, 1996.

Full-Text

Contact Us

service@oalib.com

QQ:3279437679

WhatsApp +8615387084133